As I mentioned before,each of the default DH PHP installations on has a setting that Joomla! now reports as being less than optimal for security purposes. Neither of these warnings impact the proper operation of Joomla!; they are included in the latest versions of Joomla! to warn that poorly coded components could expose your Joomla! installation to potential exploits if these settings are not set as recommended.
With DH’s PHP4, the register_globals_on setting is reported as being a potential risk, and with PHP5 on DH, the magic_quotes issue is reported.
There are two ways to get either of these PHP versions to have both the magic_quotes (in PHP5) and the register_globals (in PHP4) set the way Joomla! reports are “best”. Mark described the method that is the easiest by far, but alternately you could elect to compile and install your own version of PHP (also described in the wiki).
It is my opinion that running Joomla! under PHP5 with the magic_quotes warning still there is not an unacceptable security risk - the Joomla! developers are (correctly I think) choosing to be extremely aggressive in their warnings given the expertise/experience many Joomla! users have with such things. The register_globals warning, which you get if you run Joomla! under PHP4 on DH, is much the same, though I believe it is a greater risk for potential exploits than the magic quotes issue is.
If it were me, I would run it under PHP5, magic_quotes warning and all, or I would would do as Mark suggests and modify a copy of php.ini for use on my domain before I would run any PHP program with register_globals set ON.